How do you apply colormanagement settings to EXR files?
Correct.

Due to a very unfortunate design decision, no matter whatever your view transforms are set to, the EXR will always be the unadjusted, scene referred values from the Cycles render buffer.

In order to perform colour transforms from an OCIO configuration, you would need to perform this task externally using a tool such as ocioconvert from the OCIO package.

Note that while an EXR can contain any type of data, with regards to imagery and visual energy, it is a standard convention to store that data with linear visual energy ratios. That is, in terms of colour space transforms, you would want to avoid storing nonlinear encodings in an EXR file via baking in a transfer function curve.